Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

Financial Instruments Measured At Fair Value On A Recurring Basis

Financial instruments measured at fair value on a recurring basis, by valuation hierarchy

June 30, 2020	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	2,316	$	559	$	—	$	2,875
Non-U.S.	—		24,138		469		24,607
Corporate and asset-backed securities	—		32,548		1,369		33,917
Mortgage-backed securities	—		18,138		60		18,198
Municipal	—		7,115		—		7,115
	2,316		82,498		1,898		86,712
Equity securities	2,329		1		64		2,394
Short-term investments	2,707		1,294		2		4,003
Other investments (1)	361		383		10		754
Securities lending collateral	—		1,832		—		1,832
Investment derivative instruments	19		—		—		19
Other derivative instruments	1		—		—		1
Separate account assets	3,394		132		—		3,526
Total assets measured at fair value (1)	$	11,127	$	86,140	$	1,974	$	99,241
Liabilities:
Investment derivative instruments	$	96	$	—	$	—	$	96
GLB (2)	—		—		928		928
Total liabilities measured at fair value	$	96	$	—	$	928	$	1,024

⁽¹⁾Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,853 million, policy loans of $226 million and other investments of $90 million at June 30, 2020 measured using NAV as a practical expedient.

⁽²⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets.

December 31, 2019	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	2,664	$	619	$	—	$	3,283
Non-U.S.	—		23,258		449		23,707
Corporate and asset-backed securities	—		30,340		1,451		31,791
Mortgage-backed securities	—		19,132		60		19,192
Municipal	—		7,515		—		7,515
	2,664		80,864		1,960		85,488
Equity securities	728		15		69		812
Short-term investments	2,803		1,482		6		4,291
Other investments (1)	412		377		10		799
Securities lending collateral	—		994		—		994
Investment derivative instruments	24		—		—		24
Other derivative instruments	2		—		—		2
Separate account assets	3,437		136		—		3,573
Total assets measured at fair value (1)	$	10,070	$	83,868	$	2,045	$	95,983
Liabilities:
Investment derivative instruments	$	93	$	—	$	—	$	93
Other derivative instruments	13		—		—		13
GLB (2)	—		—		456		456
Total liabilities measured at fair value	$	106	$	—	$	456	$	562

⁽¹⁾Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,921 million and other investments of $95 million at December 31, 2019 measured using NAV as a practical expedient.

⁽²⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets.

Schedule Of Significant Unobservable Inputs Used In Level 3 Liability Valuations

The following table presents the significant unobservable inputs used in the Level 3 liability valuations. Excluded from the table below are inputs used to determine the fair value of Level 3 assets which are based on single broker quotes and contain no quantitative unobservable inputs developed by management. The majority of our fixed maturities classified as Level 3 used external pricing when markets are less liquid due to the lack of market inputs (i.e., stale pricing, broker quotes).

(in millions of U.S. dollars, except for percentages)	Fair Value				Valuation Technique	Significant Unobservable Inputs	Ranges	Weighted Average (1)
	June 30, 2020		December 31, 2019
GLB (1)	$	928	$	456	Actuarial model	Lapse rate	3% – 34%	4.6	%
						Annuitization rate	0% – 52%	4.1	%

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following tables present a reconciliation of the beginning and ending balances of financial instruments measured at fair value using significant unobservable inputs (Level 3):

	Assets												Liabilities
Three Months Ended June 30, 2020 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities		Short-term investments		Other investments			GLB (1)
	Non-U.S.		Corporate and asset-backed securities		MBS
Balance – beginning of period	$	465	$	1,502	$	60	$	67	$	1	$	10		$	1,141
Transfers out of Level 3	(13)		(71)		—		—		—		—			—
Change in Net Unrealized Gains (Losses) in OCI	(6)		1		—		(1)		—		—			—
Net Realized Gains/Losses	(1)		(13)		—		(1)		—		—			(213)
Purchases	67		83		—		8		1		—			—
Sales	(16)		(48)		—		(9)		—		—			—
Settlements	(27)		(85)		—		—		—		—			—
Balance – end of period	$	469	$	1,369	$	60	$	64	$	2	$	10		$	928
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	5	$	—	$	1	$	—	$	—		$	(213)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	(5)	$	7	$	—	$	—	$	—	$	—		$	—

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1,372 million at June 30, 2020, and $1,591 million at March 31, 2020, which includes a fair value derivative adjustment of $928 million and $1,141 million, respectively.

	Assets												Liabilities
Three Months Ended June 30, 2019 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities		Short-term investments		Other investments		GLB (1)
	Non-U.S.		Corporate and asset-backed securities		MBS
Balance – beginning of period	$	360	$	1,342	$	78	$	55	$	—	$	11	$	338
Transfers into Level 3	—		10		—		—		—		—		—
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange	—		1		—		1		—		—		—
Net Realized Gains/Losses	—		(1)		—		(1)		—		—		65
Purchases	43		121		—		5		4		—		—
Sales	(14)		(36)		(1)		(4)		—		—		—
Settlements	(18)		(78)		(1)		—		—		—		—
Balance – end of period	$	371	$	1,359	$	76	$	56	$	4	$	11	$	403
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(1)	$	—	$	(1)	$	—	$	—	$	65

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $815 million at June 30, 2019, and $741 million at March 31, 2019, which includes a fair value derivative adjustment of $403 million and $338 million, respectively.

	Assets												Liabilities
	Available-for-Sale Debt Securities						Equity securities		Short-term investments		Other investments			GLB (1)
Six Months Ended June 30, 2020 (in millions of U.S. dollars)	Non-U.S.		Corporate and asset-backed securities		MBS
Balance – beginning of period	$	449	$	1,451	$	60	$	69	$	6	$	10		$	456
Transfers into Level 3	—		91		—		—		—		—			—
Transfers out of Level 3	(16)		(72)		—		—		—		—			—
Change in Net Unrealized Gains (Losses) in OCI, including foreign exchange	(20)		(44)		—		—		—		—			—
Net Realized Gains/Losses	(3)		(26)		—		(3)		—		—			472
Purchases	149		222		—		11		2		—			—
Sales	(62)		(67)		—		(13)		—		—			—
Settlements	(28)		(186)		—		—		(6)		—			—
Balance – end of period	$	469	$	1,369	$	60	$	64	$	2	$	10		$	928
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(9)	$	—	$	(1)	$	—	$	—		$	472
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	(20)	$	(37)	$	—	$	—	$	—	$	—		$	—

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1,372 million at June 30, 2020, and $897 million at December 31, 2019, which includes a fair value derivative adjustment of $928 million and $456 million, respectively.

	Assets												Liabilities
	Available-for-Sale Debt Securities						Equity securities		Short-term investments		Other investments		GLB (1)
Six Months Ended June 30, 2019 (in millions of U.S. dollars)	Non-U.S.		Corporate and asset-backed securities		MBS
Balance – beginning of period	$	345	$	1,299	$	61	$	57	$	1	$	11	$	452
Transfers into Level 3	3		15		—		—		—		—		—
Transfers out of Level 3	(15)		—		—		—		—		—		—
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange	6		5		—		2		—		—		—
Net Realized Gains/Losses	(1)		—		—		(3)		—		—		(49)
Purchases	96		249		18		14		4		—		—
Sales	(19)		(73)		(1)		(14)		—		—		—
Settlements	(44)		(136)		(2)		—		(1)		—		—
Balance – end of period	$	371	$	1,359	$	76	$	56	$	4	$	11	$	403
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(1)	$	—	$	(2)	$	—	$	—	$	(49)

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $815 million at June 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $403 million and $452 million, respectively.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following tables present a reconciliation of the beginning and ending balances of financial instruments measured at fair value using significant unobservable inputs (Level 3):

	Assets												Liabilities
Three Months Ended June 30, 2020 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities		Short-term investments		Other investments			GLB (1)
	Non-U.S.		Corporate and asset-backed securities		MBS
Balance – beginning of period	$	465	$	1,502	$	60	$	67	$	1	$	10		$	1,141
Transfers out of Level 3	(13)		(71)		—		—		—		—			—
Change in Net Unrealized Gains (Losses) in OCI	(6)		1		—		(1)		—		—			—
Net Realized Gains/Losses	(1)		(13)		—		(1)		—		—			(213)
Purchases	67		83		—		8		1		—			—
Sales	(16)		(48)		—		(9)		—		—			—
Settlements	(27)		(85)		—		—		—		—			—
Balance – end of period	$	469	$	1,369	$	60	$	64	$	2	$	10		$	928
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	5	$	—	$	1	$	—	$	—		$	(213)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	(5)	$	7	$	—	$	—	$	—	$	—		$	—

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1,372 million at June 30, 2020, and $1,591 million at March 31, 2020, which includes a fair value derivative adjustment of $928 million and $1,141 million, respectively.

	Assets												Liabilities
Three Months Ended June 30, 2019 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities		Short-term investments		Other investments		GLB (1)
	Non-U.S.		Corporate and asset-backed securities		MBS
Balance – beginning of period	$	360	$	1,342	$	78	$	55	$	—	$	11	$	338
Transfers into Level 3	—		10		—		—		—		—		—
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange	—		1		—		1		—		—		—
Net Realized Gains/Losses	—		(1)		—		(1)		—		—		65
Purchases	43		121		—		5		4		—		—
Sales	(14)		(36)		(1)		(4)		—		—		—
Settlements	(18)		(78)		(1)		—		—		—		—
Balance – end of period	$	371	$	1,359	$	76	$	56	$	4	$	11	$	403
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(1)	$	—	$	(1)	$	—	$	—	$	65

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $815 million at June 30, 2019, and $741 million at March 31, 2019, which includes a fair value derivative adjustment of $403 million and $338 million, respectively.

	Assets												Liabilities
	Available-for-Sale Debt Securities						Equity securities		Short-term investments		Other investments			GLB (1)
Six Months Ended June 30, 2020 (in millions of U.S. dollars)	Non-U.S.		Corporate and asset-backed securities		MBS
Balance – beginning of period	$	449	$	1,451	$	60	$	69	$	6	$	10		$	456
Transfers into Level 3	—		91		—		—		—		—			—
Transfers out of Level 3	(16)		(72)		—		—		—		—			—
Change in Net Unrealized Gains (Losses) in OCI, including foreign exchange	(20)		(44)		—		—		—		—			—
Net Realized Gains/Losses	(3)		(26)		—		(3)		—		—			472
Purchases	149		222		—		11		2		—			—
Sales	(62)		(67)		—		(13)		—		—			—
Settlements	(28)		(186)		—		—		(6)		—			—
Balance – end of period	$	469	$	1,369	$	60	$	64	$	2	$	10		$	928
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(9)	$	—	$	(1)	$	—	$	—		$	472
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	(20)	$	(37)	$	—	$	—	$	—	$	—		$	—

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1,372 million at June 30, 2020, and $897 million at December 31, 2019, which includes a fair value derivative adjustment of $928 million and $456 million, respectively.

	Assets												Liabilities
	Available-for-Sale Debt Securities						Equity securities		Short-term investments		Other investments		GLB (1)
Six Months Ended June 30, 2019 (in millions of U.S. dollars)	Non-U.S.		Corporate and asset-backed securities		MBS
Balance – beginning of period	$	345	$	1,299	$	61	$	57	$	1	$	11	$	452
Transfers into Level 3	3		15		—		—		—		—		—
Transfers out of Level 3	(15)		—		—		—		—		—		—
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange	6		5		—		2		—		—		—
Net Realized Gains/Losses	(1)		—		—		(3)		—		—		(49)
Purchases	96		249		18		14		4		—		—
Sales	(19)		(73)		(1)		(14)		—		—		—
Settlements	(44)		(136)		(2)		—		(1)		—		—
Balance – end of period	$	371	$	1,359	$	76	$	56	$	4	$	11	$	403
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(1)	$	—	$	(2)	$	—	$	—	$	(49)

⁽¹⁾Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $815 million at June 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $403 million and $452 million, respectively.

Carrying Values And Fair Values Of Financial Instruments Not Measured At Fair Value

The following tables present fair value, by valuation hierarchy, and carrying value of the financial instruments not measured at fair value:

June 30, 2020	Fair Value								Net Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities held to maturity
U.S. Treasury / Agency	$	1,257	$	58	$	—	$	1,315	$	1,242
Non-U.S.	—		1,370		—		1,370		1,270
Corporate and asset-backed securities	—		2,428		—		2,428		2,191
Mortgage-backed securities	—		2,331		—		2,331		2,188
Municipal	—		5,176		—		5,176		4,954
Total assets	$	1,257	$	11,363	$	—	$	12,620	$	11,845
Liabilities:
Repurchase agreements	$	—	$	1,409	$	—	$	1,409	$	1,409
Short-term debt	—		1,309		—		1,309		1,300
Long-term debt	—		15,650		—		15,650		13,656
Trust preferred securities	—		453		—		453		308
Total liabilities	$	—	$	18,821	$	—	$	18,821	$	16,673

December 31, 2019	Fair Value								Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities held to maturity
U.S. Treasury / Agency	$	1,292	$	55	$	—	$	1,347	$	1,318
Non-U.S.	—		1,485		—		1,485		1,423
Corporate and asset-backed securities	—		2,436		32		2,468		2,349
Mortgage-backed securities	—		2,396		—		2,396		2,331
Municipal	—		5,309		—		5,309		5,160
Total assets	$	1,292	$	11,681	$	32	$	13,005	$	12,581
Liabilities:
Repurchase agreements	$	—	$	1,416	$	—	$	1,416	$	1,416
Short-term debt	—		1,307		—		1,307		1,299
Long-term debt	—		15,048		—		15,048		13,559
Trust preferred securities	—		467		—		467		308
Total liabilities	$	—	$	18,238	$	—	$	18,238	$	16,582